Products and processes for order distribution

ABSTRACT

Systems and methods for trading financial instruments through multiple trading intermediaries are described.

CROSS REFERENCE TO RELATED APPLICATION

This application is a continuation of U.S. patent application Ser. No.12/189,266, filed Aug. 11, 2008, which is hereby incorporated byreference herein in its entirety.

BACKGROUND

1. Field

Some embodiments may relate to trading of financial instruments.

2. Related Art

Financial exchanges allow participants to buy and sell financialinstruments from other participants. Various methods may be used by suchexchanges to determine matching of orders and facilitate execution oftrades.

SUMMARY

Some embodiments may include a method comprising: receiving, by acomputing device from a trading system, a computer message identifying afirst order, in which the first order includes an instrument to betraded, a quantity of the instrument to be traded, and a side of a tradefor the instrument; receiving, by the computing device, an indication ofa rate at which orders for the side of the trade for the financialinstrument are expected to be fulfilled by at least one first exchangeof a plurality of exchanges; receiving, by the computing device, anindication of at least one quantity, in which each quantity of the atleast one quantity includes a total of quantities associated with atleast one respective second order pending on at least one secondexchange of the plurality of exchanges, in which the second ordersinclude the instrument and the side of trades for the instrument;receiving, by the computing device, an indication of a method used by atleast one third exchange of the plurality of exchanges to fulfill orderspending on the exchange when matching orders received by the thirdexchange; based at least in part on the rate, the at least one quantity,and the method, computing, by the computing device, a distribution ofsub-parts of the first order among the plurality of exchanges; andattempting, by the computing device, to facilitate execution of thefirst order on the plurality of exchanges according to the distributionof sub-parts to the plurality of exchanges. Other example embodimentsare described as well.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 illustrates an example system for trading financial instruments;

FIG. 2 illustrates an example method that may be performed by someembodiments; and

FIG. 3 illustrates an example system for determining distributions.

DETAILED DESCRIPTION

The following sections I-X provide a guide to interpreting the presentapplication.

I. Terms

The term “product” means any machine, manufacture and/or composition ofmatter, unless expressly specified otherwise.

The term “process” means any process, algorithm, method or the like,unless expressly specified otherwise.

Each process (whether called a method, algorithm or otherwise)inherently includes one or more steps, and therefore all references to a“step” or “steps” of a process have an inherent antecedent basis in themere recitation of the term ‘process’ or a like term. Accordingly, anyreference in a claim to a ‘step’ or ‘steps’ of a process has sufficientantecedent basis.

The term “invention” and the like mean “the one or more inventionsdisclosed in this application”, unless expressly specified otherwise.

The terms “an embodiment”, “embodiment”, “embodiments”, “theembodiment”, “the embodiments”, “one or more embodiments”, “someembodiments”, “certain embodiments”, “one embodiment”, “anotherembodiment” and the like mean “one or more (but not all) embodiments ofthe disclosed invention(s)”, unless expressly specified otherwise.

The term “variation” of an invention means an embodiment of theinvention, unless expressly specified otherwise.

A reference to “another embodiment” in describing an embodiment does notimply that the referenced embodiment is mutually exclusive with anotherembodiment (e.g., an embodiment described before the referencedembodiment), unless expressly specified otherwise.

The terms “including”, “comprising” and variations thereof mean“including but not limited to”, unless expressly specified otherwise.

The terms “a”, “an” and “the” mean “one or more”, unless expresslyspecified otherwise.

The term “plurality” means “two or more”, unless expressly specifiedotherwise.

The term “herein” means “in the present application, including anythingwhich may be incorporated by reference”, unless expressly specifiedotherwise.

The phrase “at least one of”, when such phrase modifies a plurality ofthings (such as an enumerated list of things) means any combination ofone or more of those things, unless expressly specified otherwise. Forexample, the phrase “at least one of a widget, a car and a wheel” meanseither (i) a widget, (ii) a car, (iii) a wheel, (iv) a widget and a car,(v) a widget and a wheel, (vi) a car and a wheel, or (vii) a widget, acar and a wheel. The phrase “at least one of”, when such phrase modifiesa plurality of things does not mean “one of” each of the plurality ofthings.

Numerical terms such as “one”, “two”, etc. when used as cardinal numbersto indicate quantity of something (e.g., one widget, two widgets), meanthe quantity indicated by that numerical term, but do not mean at leastthe quantity indicated by that numerical term. For example, the phrase“one widget” does not mean “at least one widget”, and therefore thephrase “one widget” does not cover, e.g., two widgets.

The phrase “based on” does not mean “based only on”, unless expresslyspecified otherwise. In other words, the phrase “based on” describesboth “based only on” and “based at least on”. The phrase “based at leaston” is equivalent to the phrase “based at least in part on”.

The term “represent” and like terms are not exclusive, unless expresslyspecified otherwise. For example, the term “represents” does not mean“represents only”, unless expressly specified otherwise. In other words,the phrase “the data represents a credit card number” describes both“the data represents only a credit card number” and “the data representsa credit card number and the data also represents something else”.

The term “whereby” is used herein only to precede a clause or other setof words that express only the intended result, objective or consequenceof something that is previously and explicitly recited. Thus, when theterm “whereby” is used in a claim, the clause or other words that theterm “whereby” modifies do not establish specific further limitations ofthe claim or otherwise restricts the meaning or scope of the claim.

The term “e.g.” and like terms mean “for example”, and thus does notlimit the term or phrase it explains. For example, in the sentence “thecomputer sends data (e.g., instructions, a data structure) over theInternet”, the term “e.g.” explains that “instructions” are an exampleof “data” that the computer may send over the Internet, and alsoexplains that “a data structure” is an example of “data” that thecomputer may send over the Internet. However, both “instructions” and “adata structure” are merely examples of “data”, and other things besides“instructions” and “a data structure” can be “data”.

The term “respective” and like terms mean “taken individually”. Thus iftwo or more things have “respective” characteristics, then each suchthing has its own characteristic, and these characteristics can bedifferent from each other but need not be. For example, the phrase “eachof two machines has a respective function” means that the first suchmachine has a function and the second such machine has a function aswell. The function of the first machine may or may not be the same asthe function of the second machine.

The term “i.e.” and like terms mean “that is”, and thus limits the termor phrase it explains. For example, in the sentence “the computer sendsdata (i.e., instructions) over the Internet”, the term “i.e.” explainsthat “instructions” are the “data” that the computer sends over theInternet.

Any given numerical range shall include whole and fractions of numberswithin the range. For example, the range “1 to 10” shall be interpretedto specifically include whole numbers between 1 and 10 (e.g., 1, 2, 3,4, . . . 9) and non-whole numbers (e.g., 1.1, 1.2, . . . 1.9).

Where two or more terms or phrases are synonymous (e.g., because of anexplicit statement that the terms or phrases are synonymous), instancesof one such term/phrase does not mean instances of another suchterm/phrase must have a different meaning. For example, where astatement renders the meaning of “including” to be synonymous with“including but not limited to”, the mere usage of the phrase “includingbut not limited to” does not mean that the term “including” meanssomething other than “including but not limited to”.

II. Determining

The term “determining” and grammatical variants thereof (e.g., todetermine a price, determining a value, determine an object which meetsa certain criterion) is used in an extremely broad sense. The term“determining” encompasses a wide variety of actions and therefore“determining” can include calculating, computing, processing, deriving,investigating, looking up (e.g., looking up in a table, a database oranother data structure), ascertaining and the like. Also, “determining”can include receiving (e.g., receiving information), accessing (e.g.,accessing data in a memory) and the like. Also, “determining” caninclude resolving, selecting, choosing, establishing, and the like.

The term “determining” does not imply certainty or absolute precision,and therefore “determining” can include estimating, extrapolating,predicting, guessing and the like.

The term “determining” does not imply that mathematical processing mustbe performed, and does not imply that numerical methods must be used,and does not imply that an algorithm or process is used.

The term “determining” does not imply that any particular device must beused. For example, a computer need not necessarily perform thedetermining.

III. Forms of Sentences

Where a limitation of a first claim would cover one of a feature as wellas more than one of a feature (e.g., a limitation such as “at least onewidget” covers one widget as well as more than one widget), and where ina second claim that depends on the first claim, the second claim uses adefinite article “the” to refer to the limitation (e.g., “the widget”),this does not imply that the first claim covers only one of the feature,and this does not imply that the second claim covers only one of thefeature (e.g., “the widget” can cover both one widget and more than onewidget).

When an ordinal number (such as “first”, “second”, “third” and so on) isused as an adjective before a term, that ordinal number is used (unlessexpressly specified otherwise) merely to indicate a particular feature,such as to distinguish that particular feature from another feature thatis described by the same term or by a similar term. For example, a“first widget” may be so named merely to distinguish it from, e.g., a“second widget”. Thus, the mere usage of the ordinal numbers “first” and“second” before the term “widget” does not indicate any otherrelationship between the two widgets, and likewise does not indicate anyother characteristics of either or both widgets. For example, the mereusage of the ordinal numbers “first” and “second” before the term“widget” (1) does not indicate that either widget comes before or afterany other in order or location; (2) does not indicate that either widgetoccurs or acts before or after any other in time; and (3) does notindicate that either widget ranks above or below any other, as inimportance or quality. In addition, the mere usage of ordinal numbersdoes not define a numerical limit to the features identified with theordinal numbers. For example, the mere usage of the ordinal numbers“first” and “second” before the term “widget” does not indicate thatthere must be no more than two widgets.

When a single device, article or other product is described herein, morethan one device/article (whether or not they cooperate) mayalternatively be used in place of the single device/article that isdescribed. Accordingly, the functionality that is described as beingpossessed by a device may alternatively be possessed by more than onedevice/article (whether or not they cooperate).

Similarly, where more than one device, article or other product isdescribed herein (whether or not they cooperate), a singledevice/article may alternatively be used in place of the more than onedevice or article that is described. For example, a plurality ofcomputer-based devices may be substituted with a single computer-baseddevice. Accordingly, the various functionality that is described asbeing possessed by more than one device or article may alternatively bepossessed by a single device/article.

The functionality and/or the features of a single device that isdescribed may be alternatively embodied by one or more other deviceswhich are described but are not explicitly described as having suchfunctionality/features. Thus, other embodiments need not include thedescribed device itself, but rather can include the one or more otherdevices which would, in those other embodiments, have suchfunctionality/features.

IV. Disclosed Examples and Terminology are not Limiting

Neither the Title (set forth at the beginning of the first page of thepresent application) nor the Abstract (set forth at the end of thepresent application) is to be taken as limiting in any way as the scopeof the disclosed invention(s), is to be used in interpreting the meaningof any claim or is to be used in limiting the scope of any claim. AnAbstract has been included in this application merely because anAbstract is required under 37 C.F.R. §1.72(b).

The title of the present application and headings of sections providedin the present application are for convenience only, and are not to betaken as limiting the disclosure in any way.

Numerous embodiments are described in the present application, and arepresented for illustrative purposes only. The described embodiments arenot, and are not intended to be, limiting in any sense. The presentlydisclosed invention(s) are widely applicable to numerous embodiments, asis readily apparent from the disclosure. One of ordinary skill in theart will recognize that the disclosed invention(s) may be practiced withvarious modifications and alterations, such as structural, logical,software, and electrical modifications. Although particular features ofthe disclosed invention(s) may be described with reference to one ormore particular embodiments and/or drawings, it should be understoodthat such features are not limited to usage in the one or moreparticular embodiments or drawings with reference to which they aredescribed, unless expressly specified otherwise.

Though an embodiment may be disclosed as including several features,other embodiments of the invention may include fewer than all suchfeatures. Thus, for example, a claim may be directed to less than theentire set of features in a disclosed embodiment, and such claim wouldnot include features beyond those features that the claim expresslyrecites.

No embodiment of method steps or product elements described in thepresent application constitutes the invention claimed herein, or isessential to the invention claimed herein, or is coextensive with theinvention claimed herein, except where it is either expressly stated tobe so in this specification or expressly recited in a claim.

The preambles of the claims that follow recite purposes, benefits andpossible uses of the claimed invention only and do not limit the claimedinvention.

The present disclosure is not a literal description of all embodimentsof the invention(s). Also, the present disclosure is not a listing offeatures of the invention(s) which must be present in all embodiments.

All disclosed embodiment are not necessarily covered by the claims (evenincluding all pending, amended, issued and canceled claims). Inaddition, an embodiment may be (but need not necessarily be) covered byseveral claims. Accordingly, where a claim (regardless of whetherpending, amended, issued or canceled) is directed to a particularembodiment, such is not evidence that the scope of other claims do notalso cover that embodiment.

Devices that are described as in communication with each other need notbe in continuous communication with each other, unless expresslyspecified otherwise. On the contrary, such devices need only transmit toeach other as necessary or desirable, and may actually refrain fromexchanging data most of the time. For example, a machine incommunication with another machine via the Internet may not transmitdata to the other machine for long period of time (e.g. weeks at atime). In addition, devices that are in communication with each othermay communicate directly or indirectly through one or moreintermediaries.

A description of an embodiment with several components or features doesnot imply that all or even any of such components/features are required.On the contrary, a variety of optional components are described toillustrate the wide variety of possible embodiments of the presentinvention(s). Unless otherwise specified explicitly, nocomponent/feature is essential or required.

Although process steps, algorithms or the like may be described orclaimed in a particular sequential order, such processes may beconfigured to work in different orders. In other words, any sequence ororder of steps that may be explicitly described or claimed does notnecessarily indicate a requirement that the steps be performed in thatorder. The steps of processes described herein may be performed in anyorder possible. Further, some steps may be performed simultaneouslydespite being described or implied as occurring non-simultaneously(e.g., because one step is described after the other step). Moreover,the illustration of a process by its depiction in a drawing does notimply that the illustrated process is exclusive of other variations andmodifications thereto, does not imply that the illustrated process orany of its steps are necessary to the invention(s), and does not implythat the illustrated process is preferred.

Although a process may be described as including a plurality of steps,that does not imply that all or any of the steps are preferred,essential or required. Various other embodiments within the scope of thedescribed invention(s) include other processes that omit some or all ofthe described steps. Unless otherwise specified explicitly, no step isessential or required.

Although a process may be described singly or without reference to otherproducts or methods, in an embodiment the process may interact withother products or methods. For example, such interaction may includelinking one business model to another business model. Such interactionmay be provided to enhance the flexibility or desirability of theprocess.

Although a product may be described as including a plurality ofcomponents, aspects, qualities, characteristics and/or features, thatdoes not indicate that any or all of the plurality are preferred,essential or required. Various other embodiments within the scope of thedescribed invention(s) include other products that omit some or all ofthe described plurality.

An enumerated list of items (which may or may not be numbered) does notimply that any or all of the items are mutually exclusive, unlessexpressly specified otherwise. Likewise, an enumerated list of items(which may or may not be numbered) does not imply that any or all of theitems are comprehensive of any category, unless expressly specifiedotherwise. For example, the enumerated list “a computer, a laptop, aPDA” does not imply that any or all of the three items of that list aremutually exclusive and does not imply that any or all of the three itemsof that list are comprehensive of any category.

An enumerated list of items (which may or may not be numbered) does notimply that any or all of the items are equivalent to each other orreadily substituted for each other.

All embodiments are illustrative, and do not imply that the invention orany embodiments were made or performed, as the case may be.

V. Computing

It will be readily apparent to one of ordinary skill in the art that thevarious processes described herein may be implemented by, e.g.,appropriately programmed general purpose computers, special purposecomputers and computing devices. Typically a processor (e.g., one ormore microprocessors, one or more microcontrollers, one or more digitalsignal processors) will receive instructions (e.g., from a memory orlike device), and execute those instructions, thereby performing one ormore processes defined by those instructions. Instructions may beembodied in, e.g., one or more computer programs, one or more scripts.

A “processor” means one or more microprocessors, central processingunits (CPUs), computing devices, microcontrollers, digital signalprocessors, or like devices or any combination thereof, regardless ofthe architecture (e.g., chip-level multiprocessing/multi-core, RISC,CISC, Microprocessor without Interlocked Pipeline Stages, pipeliningconfiguration, simultaneous multithreading).

Thus a description of a process is likewise a description of anapparatus for performing the process. The apparatus that performs theprocess can include, e.g., a processor and those input devices andoutput devices that are appropriate to perform the process.

Further, programs that implement such methods (as well as other types ofdata) may be stored and transmitted using a variety of media (e.g.,computer readable media) in a number of manners. In some embodiments,hard-wired circuitry or custom hardware may be used in place of, or incombination with, some or all of the software instructions that canimplement the processes of various embodiments. Thus, variouscombinations of hardware and software may be used instead of softwareonly.

The term “computer-readable medium” refers to any medium, a plurality ofthe same, or a combination of different media, that participate inproviding data (e.g., instructions, data structures) which may be readby a computer, a processor or a like device. Such a medium may take manyforms, including but not limited to, non-volatile media, volatile media,and transmission media. Non-volatile media include, for example, opticalor magnetic disks and other persistent memory. Volatile media includedynamic random access memory (DRAM), which typically constitutes themain memory. Transmission media include coaxial cables, copper wire andfiber optics, including the wires that comprise a system bus coupled tothe processor. Transmission media may include or convey acoustic waves,light waves and electromagnetic emissions, such as those generatedduring radio frequency (RF) and infrared (IR) data communications.Common forms of computer-readable media include, for example, a floppydisk, a flexible disk, hard disk, magnetic tape, any other magneticmedium, a CD-ROM, DVD, any other optical medium, punch cards, papertape, any other physical medium with patterns of holes, a RAM, a PROM,an EPROM, a FLASH-EEPROM, any other memory chip or cartridge, a carrierwave as described hereinafter, or any other medium from which a computercan read.

Various forms of computer readable media may be involved in carryingdata (e.g. sequences of instructions) to a processor. For example, datamay be (i) delivered from RAM to a processor; (ii) carried over awireless transmission medium; (iii) formatted and/or transmittedaccording to numerous formats, standards or protocols, such as Ethernet(or IEEE 802.3), SAP, ATP, Bluetooth□, and TCP/IP, TDMA, CDMA, and 3G;and/or (iv) encrypted to ensure privacy or prevent fraud in any of avariety of ways well known in the art.

Thus a description of a process is likewise a description of acomputer-readable medium storing a program for performing the process.The computer-readable medium can store (in any appropriate format) thoseprogram elements which are appropriate to perform the method.

Just as the description of various steps in a process does not indicatethat all the described steps are required, embodiments of an apparatusinclude a computer/computing device operable to perform some (but notnecessarily all) of the described process.

Likewise, just as the description of various steps in a process does notindicate that all the described steps are required, embodiments of acomputer-readable medium storing a program or data structure include acomputer-readable medium storing a program that, when executed, cancause a processor to perform some (but not necessarily all) of thedescribed process.

Where databases are described, it will be understood by one of ordinaryskill in the art that (i) alternative database structures to thosedescribed may be readily employed, and (ii) other memory structuresbesides databases may be readily employed. Any illustrations ordescriptions of any sample databases presented herein are illustrativearrangements for stored representations of information. Any number ofother arrangements may be employed besides those suggested by, e.g.,tables illustrated in drawings or elsewhere. Similarly, any illustratedentries of the databases represent exemplary information only; one ofordinary skill in the art will understand that the number and content ofthe entries can be different from those described herein. Further,despite any depiction of the databases as tables, other formats(including relational databases, object-based models and/or distributeddatabases) could be used to store and manipulate the data typesdescribed herein. Likewise, object methods or behaviors of a databasecan be used to implement various processes, such as the describedherein. In addition, the databases may, in a known manner, be storedlocally or remotely from a device which accesses data in such adatabase.

Various embodiments can be configured to work in a network environmentincluding a computer that is in communication (e.g., via acommunications network) with one or more devices. The computer maycommunicate with the devices directly or indirectly, via any wired orwireless medium (e.g. the Internet, LAN, WAN or Ethernet, Token Ring, atelephone line, a cable line, a radio channel, an optical communicationsline, commercial on-line service providers, bulletin board systems, asatellite communications link, a combination of any of the above). Eachof the devices may themselves comprise computers or other computingdevices, such as those based on the Intel® Pentium® or Centrino™processor, that are adapted to communicate with the computer. Any numberand type of devices may be in communication with the computer.

In an embodiment, a server computer or centralized authority may not benecessary or desirable. For example, the present invention may, in anembodiment, be practiced on one or more devices without a centralauthority. In such an embodiment, any functions described herein asperformed by the server computer or data described as stored on theserver computer may instead be performed by or stored on one or moresuch devices.

Where a process is described, in an embodiment the process may operatewithout any user intervention. In another embodiment, the processincludes some human intervention (e.g., a step is performed by or withthe assistance of a human).

VI. Continuing Applications

The present disclosure provides, to one of ordinary skill in the art, anenabling description of several embodiments and/or inventions. Some ofthese embodiments and/or inventions may not be claimed in the presentapplication, but may nevertheless be claimed in one or more continuingapplications that claim the benefit of priority of the presentapplication.

Applicants intend to file additional applications to pursue patents forsubject matter that has been disclosed and enabled but not claimed inthe present application.

VII. 35 U.S.C. §112, Paragraph 6

In a claim, a limitation of the claim which includes the phrase “meansfor” or the phrase “step for” means that 35 U.S.C. §112, paragraph 6,applies to that limitation.

In a claim, a limitation of the claim which does not include the phrase“means for” or the phrase “step for” means that 35 U.S.C. §112,paragraph 6 does not apply to that limitation, regardless of whetherthat limitation recites a function without recitation of structure,material or acts for performing that function. For example, in a claim,the mere use of the phrase “step of” or the phrase “steps of” inreferring to one or more steps of the claim or of another claim does notmean that 35 U.S.C. §112, paragraph 6, applies to that step(s).

With respect to a means or a step for performing a specified function inaccordance with 35 U.S.C. §112, paragraph 6, the correspondingstructure, material or acts described in the specification, andequivalents thereof, may perform additional functions as well as thespecified function.

Computers, processors, computing devices and like products arestructures that can perform a wide variety of functions. Such productscan be operable to perform a specified function by executing one or moreprograms, such as a program stored in a memory device of that product orin a memory device which that product accesses. Unless expresslyspecified otherwise, such a program need not be based on any particularalgorithm, such as any particular algorithm that might be disclosed inthe present application. It is well known to one of ordinary skill inthe art that a specified function may be implemented via differentalgorithms, and any of a number of different algorithms would be a meredesign choice for carrying out the specified function.

Therefore, with respect to a means or a step for performing a specifiedfunction in accordance with 35 U.S.C. §112, paragraph 6, structurecorresponding to a specified function includes any product programmed toperform the specified function. Such structure includes programmedproducts which perform the function, regardless of whether such productis programmed with (i) a disclosed algorithm for performing thefunction, (ii) an algorithm that is similar to a disclosed algorithm, or(iii) a different algorithm for performing the function.

Where there is recited a means for performing a function that is amethod, one structure for performing this method includes a computingdevice (e.g., a general purpose computer) that is programmed and/orconfigured with appropriate hardware to perform that function.

Also included is a computing device (e.g., a general purpose computer)that is programmed and/or configured with appropriate hardware toperform that function via other algorithms as would be understood by oneof ordinary skill in the art.

VIII. Disclaimer

Numerous references to a particular embodiment do not indicate adisclaimer or disavowal of additional, different embodiments, andsimilarly references to the description of embodiments which all includea particular feature do not indicate a disclaimer or disavowal ofembodiments which do not include that particular feature. A cleardisclaimer or disavowal in the present application shall be prefaced bythe phrase “does not include” or by the phrase “cannot perform”.

IX. Incorporation by Reference

Any patent, patent application or other document referred to herein isincorporated by reference into this patent application as part of thepresent disclosure, but only for purposes of written description andenablement in accordance with 35 U.S.C. §112, paragraph 1, and should inno way be used to limit, define, or otherwise construe any term of thepresent application, unless without such incorporation by reference, noordinary meaning would have been ascertainable by a person of ordinaryskill in the art. Such person of ordinary skill in the art need not havebeen in any way limited by any embodiments provided in the reference

Any incorporation by reference does not, in and of itself, imply anyendorsement of, ratification of or acquiescence in any statements,opinions, arguments or characterizations contained in any incorporatedpatent, patent application or other document, unless explicitlyspecified otherwise in this patent application.

X. Prosecution History

In interpreting the present application (which includes the claims), oneof ordinary skill in the art shall refer to the prosecution history ofthe present application, but not to the prosecution history of any otherpatent or patent application, regardless of whether there are otherpatent applications that are considered related to the presentapplication, and regardless of whether there are other patentapplications that share a claim of priority with the presentapplication.

XI. Embodiments

Various embodiments relate to systems and/or methods for the trading ofone or more types of financial instruments (e.g. bonds, bond futurescontracts, interest rate swaps, other securities, stock options,commodities, equities, currencies, derivatives of any of the foregoing,etc.). U.S. patent application Ser. No. 12/014,027 to Lutnick, filedJan. 14, 2008, which is hereby incorporated herein by reference,discusses some example systems and methods related to such trading. TheChicago Mercantile Exchange is an example exchange that operates tofacilitate the trading of such financial instruments.

FIG. 1 shows a diagram of an example trading system. The trading offinancial instruments typically involves two sides (i.e., a buyer 101,and a seller 103) and a least one intermediary (e.g., an exchange 105such as the Chicago Mercantile Exchange, broker 107, and so on). In theexample of FIG. 1, a buyer 101 of a first financial instrument mayidentify his desire to buy the first financial instrument to a broker107. The broker 107 may transmit an order to buy the first financialinstrument to the exchange 105.

The exchange 105 may include one or more computer systems configured tofacilitate the trading of financial instruments. In someimplementations, an exchange may include one or more computer systemsconfigured to receive indications of orders, determine if any of theindicated orders match, and facilitate execution of at least some of thematching orders. The exchange 105 may store information related to theorder to buy, may verify the information, may authenticate the buyer101, may authenticate the broker 107, may publish information about theorder to buy, and/or may take any other desired actions. The exchange105 may determine if a matching sell order for the same financialinstrument has been submitted to the exchange 105. Orders may match ifthey are for opposite sides of a trade for a same financial instrument,orders may match if they are for opposite sides of a trade for a similarfinancial instrument, orders may match if they are for a same price,orders may match if they are for an overlapping price range, orders maymatch if they use a same pricing method, orders may match if they arefor a similar quantity, orders may match if they are for the samequantity, orders may match if they are for an overlapping quantityrange, and/or any other information may be used to determine if ordersmatch in various implementations.

If no such matching order has been submitted, the exchange may storeinformation identifying the buy order in case a matching sell order isreceived in the future. In this example, a seller 103 may submit a sellorder for the financial instrument at some future time. The exchange 105may then facilitate execution of a trade that fulfills at least aportion of each of the buy and sell orders. It should be recognized thatthe use of a broker 107 and the sides of a trade are given as examplesonly and that other embodiments may include other arrangements.

In some embodiments, a trade involving a quantity of financialinstruments may be facilitated at a price. In some embodiments, theinformation submitted by the buyer and/or the seller may identify theprice and/or a price range in which the buyer and/or the seller may bewilling to trade. The trade may be facilitated if the prices are thesame or the price ranges overlap. The trade may be performed at anidentified price and/or according to some pricing method. In someembodiments, such a pricing method may include midpoint pricing, volumeweighted average pricing, pricing based on a most recently traded priceon an exchange, and so on. In some embodiments, the price and/or pricingmethod may be determined through a negotiation between the buyer and theseller and/or may be set by an exchange through which an exchange isfacilitated. Any other method may be used to determine the price.

The quantity of the financial instruments that may be exchanged may beidentified by information submitted by the buyer and/or the seller. Insome instances the quantity may be the same for both the buyer and theseller submitted information. If the quantity is the same, in someimplementations, the quantity exchanged at the price may include thequantity identified by both the buyer and the seller. In otherimplementations, the identified quantities may be different for each ofthe buyer and the seller. If the quantity is different, the quantityexchanged at the price may be one of the two quantities and/or someother quantity. For example, in one implementation, the quantity may bethe lower of the two quantities. In some implementations, a negotiationmay take place between the buyer and the seller to determine thequantity.

In some embodiments, facilitating a trade may include one or moreactions that help to bring about execution of a trade. Facilitating atrade may be referred to similarly to facilitating execution of an orderand similar terms. Facilitating execution may include, for example,placing a plurality of orders on one of the plurality of exchanges. Suchplacement may take place according to a distribution as described below.Execution of a trade may include an exchange of a financial instrumentfor some other thing (e.g., money, another financial instrument, credit,etc.). Some examples of facilitation of a trade may include: forwardinginformation about the trade to a clearing house, performing theexecution of the trade, transferring a financial instrument from oneperson to another person, and so on.

In some embodiments, parties to a trade may negotiate about one or moreterms related to a trade. For example, parties may negotiation aboutprice of a trade, quantity of financial instruments to be traded, a timefor execution of the trade, a method of execution of a trade, a providerof execution related service for a trade, and so on. Negotiation maytake place electronically (e.g., through computer interfaces such asinstant messaging interfaces, email interfaces, and so on) in person,over the telephone, and so on.

Information received about a desired trade may be referred to as anorder. An order may include, for example, any information thatidentifies a desire for a trade of one or more financial instruments.The order may be formatted according to a specific format desired by atrading intermediary (e.g., an XML formatted electronic message, a FIXmessage, etc.). An order may include a buy order, a sell order, a shortorder, a swap order, a market order, and/or any other type of order. Anorder may identify a time period to stay valid (e.g., until end oftrading for a day, for an hour, fill immediately or cancel, and so on).An order may identify a price, pricing method, and/or quantity.

One or more interfaces may be used in some embodiments to interact witha trading intermediary (e.g., by a buyer and/or seller to submitinformation about an order). For example, in one embodiment, aninterface may allow a person to enter information about a desire totrade a financial instrument and submit the information to an exchange.Information about such submitted information may be displayed throughthe interface to the person. It should be understood that in someembodiments people may submit trade information (e.g., over the phone,into a computer, etc.) and/or computers may submit such information(e.g., algorithmic trading systems, order management systems, tradinginterfaces, etc.).

It should be recognized that the above description illustrates a tradingexample of some embodiments in which a single seller and buyer interactthrough an intermediary. It should be recognized that other embodimentsare not so limited and that, as described below, various embodiments,may include any number of trading intermediaries, any umber of buyers,any number of sellers, and/or any number of actions and/or apparatus.

In some embodiments, for example, an exchange may receive indications tobuy more of a quantity of financial instrument than to sell (or theopposite). For example, buyers of a financial instrument may submitorders totaling requests to buy 10,000 shares to an exchange. The sameexchange may have no sellers submit orders to sell the financialinstrument. In other embodiments, seller orders may be submitted, butmay be associated with prices that do not match the buyer orders. If afirst seller submits a sell order that matches the buy orders, theexchange may use some distribution method to distribute the quantity offinancial instruments from the seller order among the buyer order. Ifthe quantity associated with the sell order is equal to or greater thanthe quantity of the sum of the buy orders, then all buy orders may befulfilled. Otherwise, some distribution method may be used to determinewhich orders are fulfilled.

In various embodiments, an exchange may use any distribution algorithm.In some embodiments, for example, a FIFO (first in first out) algorithmmay be used. In a FIFO algorithm, the first order submitted is matchedwith the next incoming matching order. So, for example, the sell orderin the example above would be first matched with which ever buy orderwas submitted to the exchange first. If the sell order has a quantitygreater than that first buy order, then the second submitted buy ordermay also be matched, and so on until the sell order is completelyfulfilled.

Another example algorithm includes a pro-rata algorithm. In a pro-rataalgorithm, multiple pending orders for a side of a trade may each bepartially fulfilled when a matching order is submitted. The orders maybe matched in proportion to the quantity of the financial instrumentassociated with the order for an equal amount, and/or in any other way.For example, in a simple equal fill pro-rata algorithm, each of the buyorders might receive an equal number of financial instruments from thesell order until the buy order is fulfilled. This may not fulfill anyone of the buy orders completely but may fulfill all of them partially.

Some implementations may include an exchange that uses an at leastpartially pro-rata method. Such a method may include a pro-rata methodwith business logic elements, a hybrid pro-rata and FIFO method, and/orany other method that uses pro-rata elements.

Some embodiments may include a business logic element in a distributionmethod. A business logic element may make a method work to the liking ofan exchange operator or customers of an exchange by taking into accountvarious characteristics of an order, a trader, and/or a situation indetermining how to fill pending orders. Such business logic elements maybe part of a FIFO or pro-rata method, thereby adjusting the method froma pure FIFO or pro-rata algorithm to a hybrid method. For example, insome embodiments, if an amount of an order that is less than a thresholdwould be left unfulfilled using a pro-rata method, a business logicelement may adjust the pro-rata fill method so that the order isfulfilled and the other orders are less fulfilled. As another example,if an order in a FIFO algorithm is large, that order may get priorityover earlier submitted orders that are smaller, and so on. Some examplebusiness logic elements may include, for example, giving priority tolarge orders, filling small portions of an order to complete an order,ignoring small orders if larger orders are pending, favoring somecustomers over other customers (e.g., high volume customers over lowvolume customers), fulfilling orders that have been pending for sometime over other orders, and so on.

In one example, an exchange uses a pro-rata method that fulfills ordersin proportion to a quantity associated with the orders and does notleave orders for one financial instrument pending. In such an exchange,two buy orders for a financial instrument may be pending, the firstorder for 100 and the second order for 200. If a sell order for thefinancial instrument arrives, for 297 of the same financial instrument,the exchange may initiate a trade as follows: the order for 100 may befilled to 99 and the order for 200 may be filled to 197. The additionalone sale may be given to the 100 order so that a partially fulfilledorder for 1 instrument is not left pending, leaving only a buy order for3 of the financial instruments pending in the exchange.

It should be recognized that any fulfillment method may be used in anyembodiments and that although some embodiments may focus on pro-rataalgorithms, those embodiments are given as non-limiting examples only.

It is recognized that in some embodiments, multiple exchanges may beavailable for the placement of orders for a single financial instrument.For example, the CMT and the ELX exchanges may both allow trading offutures contracts, options contracts, and/or any other type of financialinstruments. Each exchange may have a same or different method forfulfilling orders. It is recognized that in some embodiments, orders maybe submitted to multiple exchange in a way that may increase an expectedspeed and/or probability of fulfilling the orders. Such submission oforders may take into account the method for fulfilling orders, mayestimate the methods for fulfilling orders, may take into accounthistoric fillings of orders, may take into account historic submissionsof orders, and/or may take into account any other information. In someembodiments, such submission of orders may take place through a marketintermediary (e.g., a broker, using a FIX messaging protocol, etc.). Insome implementations, such a market intermediary may include a computerssystem through which orders may be submitted. Such a market intermediarymay have access to the one or more exchanges and may submit portions ofan order to the one or more exchanges in a way that may increase anexpected speed and/or probability of order fulfillment compared to asubmission of the complete order to either one of the multipleexchanges.

FIG. 2 illustrates an example method 200 that may be performed to submitan order to multiple exchanges in some embodiments. Method 200 may beperformed, for example, by a market intermediary, such as a broker, acomputer system coupled to multiple exchanges, and so on. Method 200 maybe performed by a trading computer used by a trading institution, suchas a hedge fund and so on. It should be recognized that method 200 isgiven as an example only and that other embodiments may includedifferent methods, different actions, additional actions, alternativeactions, and so on.

As indicated at block 201, method 200 may include receiving anindication of an order. The order may be an order to buy and/or sell oneor more financial instruments. The indication may be received from aperson, a computer system, a market intermediary, a broker, a principalto the trade, and/or any other entity. The indication may be receivedover a communication network, over a telephone, as one or more packetsover an electronic network, as a FIX message, and/or in any other way.The indication may include an identification of a side of a trade for afinancial instrument. The indication may include a quantity and/orquantity range for the trade. The indication may include a price, pricerange, pricing method and/or any other information about a price for thetrade.

As indicated at block 203, method 200 may include receiving informationabout how one or more exchanges of a plurality of exchanges fulfillorders. One exchange may, for example, fulfill orders according to apro-rata method, another exchange, for example, may fulfill ordersaccording to a FIFO method, and so on. The one or more exchanges may useany method for fulfilling orders in any combination. The information maybe received, for example, from the exchange (e.g., as an electronicmessage from the exchange that describes how the exchange fulfillsorders, etc.), from a regulatory agency (e.g., the SEC, FINRA, as adescription of how an exchange fulfills orders, etc.), from apublication about the exchange (e.g., a website, a regulatorypublication, an advertisement, etc.), from a historical analysis of howtrades have been fulfilled in the passed, from a source of historictrading information, and so on. In some embodiments, such a historicalanalysis may be performed as part of a method (e.g., publicly disclosedinformation about fulfilled trades that have taken place in the past maybe analyzed to determine how those orders were fulfilled). It should berecognized that the information may or may not fully identify the methodof fulfilling orders. For example, a the information may identify somebut not all business logic used to determine how orders are fulfilled,may identify all the business logic about how orders are fulfilled, mayidentify none of the business logic of how the orders are fulfilled, andso on. The information may include any information from which some orall of a method of fulfilling orders may e determined (e.g., adescription of the method, order fulfillment history, etc.). It shouldalso be recognized that exchanges may change some or all of the methodsof fulfilling orders from time to time and some embodiments may receiveupdated information (e.g., from time to time, continuously, after aperiod after the change takes place, and so on) while others may not.

As indicated at block 205, method 200 may include receiving informationabout a rate of order fulfillment at one or more of the plurality ofexchanges. The information may, for example, include a history of orderfulfillment (e.g., a speed at which orders have been fulfilled in thepast, a speed at which orders have been fulfilled in similarcircumstances, and so on). An expected rate of order fulfillment may bedetermined from such historic information. A third party may identify anexpected rate of order fulfillment. The rate of order fulfillment mayidentify an expected time before a next order having an opposite side ofthe order may arrive, an expected amount of orders per time period thatmay arrive, and/or any other information related to speed of incomingorders or from which such information can be derived.

As indicated at block 207, method 200 may include receiving informationabout pending orders in one or more of a plurality of exchanges. Thepending orders may include orders for a same side of a trade for thefinancial instrument and/or information about orders for the oppositeside of a trade for the financial instrument. Such information may bereceived, for example, from published information provided by theexchanges (e.g., a book of trades available), third party informationproviders, estimated based on historic information and/or received fromany other source and/or determined in any other way.

As indicated at block 209, method 200 may include determining adistribution of orders for the plurality of exchanges to fulfill theorder (i.e., from block 201). In some implementations, the distributionof orders may be determined to provide an expected speed of fulfillingthe order that is greater than if the order were submitted in full toone of the plurality of exchanges and/or a greater probability offulfilling the order in a time period that if the order were submittedin full to one of the plurality of exchanges. In some embodiments, thedistribution may be based on the methods of fulfilling orders for someor all of the plurality of exchanges, the orders pending on some or allof the plurality of exchanges, the rate of order fulfillment for one orall of the plurality of exchanges, and/or any other information.

In one example embodiment, two exchanges may fulfill orders in apro-rata fashion and a distribution of orders may be determined one timefor the received order. As discussed later, some embodiments maydetermine new distributions based on changing conditions of an exchange;however, such new distributions may not be determined in allembodiments.

In this example embodiment, a first exchange may have an expected rateof orders being fulfilled equal to V1 and a second exchange may have anexpected rate of orders being fulfilled of V2. The first exchange mayhave pending orders on the same side of the trade as the order for aquantity of instruments equal to X1 and orders on the opposite side fora quantity of instruments equal to Y1. The second exchange may haveorders pending on the same side of the order for a quantity ofinstruments equal to X2 and on the opposite side of the trade for aquantity of instruments equal to Y2.

In one implementation, a distribution may be determined by determining afirst amount to distribute based pending orders. For example, theexchange with a lower value of (X−Y)/V may be determined. For theexchange with that lower value, a portion of the order equal to O may beassigned so that the expectation of filling the pending orders plus theaddition of O to the exchanges are equal. Assuming exchange 1 has thelower value, O may be determined by

$O = {{V\; 1*\left( \frac{\left( {{X\; 2} - {Y\; 2}} \right)}{V\; 2} \right)} - {\left( {{X\; 1} - {Y\; 1}} \right).}}$

In some implementations, if the value of O is greater than the size ofthe order, then the entire order may be placed in that exchange. In someimplementations, if the value of O is less than the amount of the order,the remaining portion of the order may be distributed among theexchanges according to the expected rate of order fulfillment at eachexchange. For example, each exchange may have an amount placed accordingto

${PX} = {\left( {T - O} \right)*\left( \frac{VX}{{V\; 1} + {V\; 2}} \right)}$where T is the size of the order, PX is the portion in exchange X, andVX is the rate of order fulfillment in exchange X. As described below,in some implementations, this may result in fractional numbers, so someembodiments may include rounding to whole numbers and/or lots tofacilitate transmission of orders to some exchanges.

It should be recognized that the above example determination is anon-limiting example implementation only. Other embodiments may includeany other method of determining a distribution. Other embodiments maynot include all the elements of the determination of the distribution(e.g., may or may not round, may or may not perform an initialdetermination based on the pending orders, and so on).

As mention above, and described below, some embodiments of method 200may determine new distributions as the amount of orders pending on anexchange change and/or other circumstances related to one or moreexchange change. Such embodiments may use a same or different algorithmas described above to determine a distribution.

For a second example of determining a distribution, two exchanges mayuse a pro-rata method of fulfilling orders. An expected trade volume ona first exchange may be V1 and an expected trade volume on a secondexchange may be V2. Accordingly, an expected probability that the nexttrade will occur on the first exchange may be V1/(V1+V2), and theexpected probability that the next trade will occur on the secondexchange may be V2/(V1+V2). In one implementation, the first exchangehas orders pending on the same side of the order that have a total sizeX1 and the second exchange has orders pending on the same side of theorder that have a total size of X2. In this example, neither side hasorders pending on the opposite side of the order. Some embodiments maydetermine a distribution so that the expected amount of the orderfulfilled by the next trade may be greater than if the order were placedfully on only one exchange.

In one implementation, the order may have a total size equal to T. Ifthe next trade on either exchange has a total size of N, then anexpected portion fulfilled for the first exchange may be N*[P1/(X1+P1)]if N<=(X1+P1) and P1 if N>(X1+P1), where P1 is the portion of the orderdistributed to the first exchange.

In other implementations, a determination may be made regarding the sizeof N relative to X1+P1 and different strategies for determining thedistribution may be used depending on the comparison. In someimplementations, a determination of a distribution may assume thatN<=X1+P1. Some implementations may not know what the size of the nexttrade will be. The expected total amount allocated from the next tradewith size N may be determined by{[V1/(V1+V2)]*N*[P1/(X1+P1)]}+{[V2/(V1+V2)]*N*[P2/(X2+P2)]} whenN<=X1+P1. Some embodiments may determine a distribution based, at leastin part on the expected size of an order that is expected to be receivedby at least one exchange (i.e., N).

In some implementations, a determination of a distribution may bedetermined by maximizing the expected distribution for the next trade.For example, in the implementation described above, a maximum expectedallocation may be determined byN/(V1+V2)*MAX(P1){[V1*P1/(S1+P1)]+V2*[(T−P1)/(S2+T−P1)]. In someimplementations, the choice of P1 to maximize this equation may beindependent of N (in some implementations this may be subject to theassumption that N<=X1+P1). Various method of maximizing this value willbe readily understood in the art. For example, various mathematicalprograms, functions, and/or estimates may be used to determine a maximumvalue of P1.

In some embodiments, if N is expected to be large (e.g., larger thanX1+P1), a distribution may be differently determined than if N isexpected to be small. To determine the size of N, a distribution oftrade sizes on the one or more exchanges may be analyzed. Suchinformation may be obtained, for example, in block 205. For example, anaverage size of a trade on an exchange may be used to estimate the nextsize of the trade N. If the size of the trade is expected to be large,then, for example, a distribution may increase an amount distributed tothe exchange that is expected to receive the large trade.

As mentioned above, a determination of a distribution may includefractional numbers or odd lots that may not be acceptable to someexchanges (e.g., some exchanges may only accept whole numbered ordersand/or orders with a multiple of 10, 100, etc.). Accordingly, someimplementations may round portions of the order in a determineddistribution so that they may be acceptable to such exchanges. Suchrounding may be performed to maintain an increase in speed or chance offulfillment. For example, if a distribution determines that a portionwith a quantity of 1.1 should be placed in a first exchange and aportion with a quantity of 2.9 should be placed in a second exchange,and both exchanges only accept whole number valued orders, adetermination may be made as to whether the expected speed of the ordersplaced in a 1-3 ratio would be faster or slower than a placement of theorders in a 2-2 ratio and the faster of the two may be selected as thedistribution. It should be recognized that any method of determining arounded order value may be used and that the given example is only anon-limiting example implementation.

It should be recognized that the above examples includes two exchangesthat use pro-rata fulfilling methods and that other embodiments mayinclude any number of exchanges with any methods used for fulfillingorders, including a mixed set of FIFO and pro-rate with or withoutbusiness logic elements.

For example, in an implementation in which an exchange uses a businesslogic element to give very large orders preference to very small orders,a distribution may be determined to avoid placing very small orders inthe exchange if a very large order is already pending in the exchange.As another example, if many small orders are pending in an exchange, adistribution may be determined to place a very large order in theexchange that will be fulfilled before the small orders. Such adetermination may be made, for example, by performing a determination asdescribed above with X1 and/or X2 set to 0 if only very small orders arepending. If the result of the calculation would place a large enoughportion in the exchange so that the business logic of the exchange wouldfill the order before the very small orders, then the distribution maybe determined to include that larger portion. If the portion determinedin such a way is not large enough, then the distribution may becalculated with X1 and X2 set to their actual values. Someimplementations may determine a distribution based at least in part on achance that an order pending on one of the exchanges may not befulfilled by a matching order because a quantity associated with theorder is small. Other business logic elements may have other affects onthe distribution.

In some implementations, one or more of the exchanges may use a FIFOfulfillment method. In such a method, if an order is changed, a priorityfor the order may be decreased, so making distribution changes after aninitial order is placed may in some circumstances result in a slowerfulfillment rate. Accordingly, in such implementations, an initialdistribution to the FIFO exchange may be determined and such adistribution may not be changed or may not be changed as frequently as adistribution among pro-rata exchanges might be. For example, in animplementation with 3 exchanges in which 2 use a pro rata fulfillmentmethod and 1 uses a FIFO fulfillment method, an initial distribution maybe determined for the 3 exchanges and updated distributions may bedetermined for the two pro rata exchanges. The portion determined to beplaced on the FIFO exchange may not be changed. The portion may not bechanged unless a threshold time passes, unless the order reaches a levelof priority, unless a number of other orders are placed on the FIFOexchange after the order, unless the orders in the pro-rata exchangesare fulfilled to a threshold level, and/or unless some othercircumstances occur. It should be recognized that a FIFO exchange may bedealt with in many ways and that the previous implementations are givenas non-limiting examples only.

In some implementations, an exchange may operate using a hybrid of apro-rata and a FIFO fulfillment method. In some implementations, adistribution may be determined according to one or more examples aboveor any other ways to account for the various hybrid methods that may beperformed by the exchange.

As indicated at block 209, method 200 may include transmitting ordersfor trades to at least one of the plurality of exchanges based on thedetermined distribution. Transmitting such information may includetransmitting information related to an order that fulfills a determinedportion of the order (i.e., from block 201) to one or more of theplurality of exchanges over a communication network. Such transmissionmay be made using the FIX protocol, for example. Such transmission maybe made directly to the exchanges and/or to one or more intermediaries.

In some embodiments, method 200 may end at block 211, as indicated inFIG. 2 by a solid line. In other embodiment, method 200 may loop toblock 205 as indicated by a dashed line. At block 205, information aboutorders pending on one or more of the plurality of exchanges may bereceived. In some implementations, for example, an indication of achange to a sum of quantities associated with orders pending on at leastone exchange of the plurality of exchanges may be received. Receivedindications, for example, may indicate that some or all of one or moreorders have been fulfilled, other orders have been fulfilled, new ordershave been placed, orders have been removed, and so on. Method 200 maythen continue to block 207 again and a new distribution may bedetermined. Method 200 may continue to block 209 and a new set of ordersmay be placed according to that new distribution. Method 200 maycontinue looping in such a fashion until, for example, the order hasbeen fulfilled, only a small amount of the order remains unfulfilled(e.g., some percentage, some absolute number, some amount relative tothe liquidity of the financial instrument, etc.), and so on. In someembodiments, method 200 may also or instead receive information about achange to a method an exchange uses to fulfill orders, a change to arate of order fulfillment, and/or a change to any other situation. Suchinformation may be used to determine a new distribution.

It should be recognized that method 200 is given as an example only, andthat other embodiments may include other methods. It should berecognized that the present application discloses some exampleembodiments that are non-limiting to the scope of the claims and thatother embodiments not described herein are also contemplated.

FIG. 3 illustrates an example of a system 301 that may perform a methodsimilar to method 200. System 301 may include one or more computersystems, processors, blades, and/or any other devices. System 301 may becoupled to a plurality of exchanges 303 that may include one or morecomputer systems. System 301 may be coupled to a plurality of ordersources 305 that may include, for example, a broker, a computer system,a trader or other person, a telephone, and/or any other source of orderinformation. System 301 may be coupled to the plurality of order sources305 through one or more communication networks 307. System 301 may becoupled to exchanges 303 through one or more communication networks 309.Communication networks 307 and 309 may be the same or differentcommunication networks (e.g., private networks, the Internet, etc.).

It should be recognized that FIG. 3 illustrates an example configurationonly and that other embodiments may include any other configuration.

In one example implementation, an intermediary may be connected to threeexchanges. The intermediary may receive information identifying that thefirst exchange uses a hybrid pro-rata and FIFO fulfillment method inwhich orders that have been pending for longer than an hour are givenpreference over orders that have not been pending for that time periodbut that orders within the one hour time period are fulfilled in apro-rata fashion, that the second exchange uses a pro-rata fulfillmentmethod that favors orders over 10 before orders under 10, and that thethird exchange uses a FIFO fulfillment method.

In this example, the intermediary may receive an indication of an orderto buy 100 shares of a stock. The intermediary may receive an indicationthat 2 orders are pending on the first exchange, one order for 10 shareshas been pending for 5 minutes and one order for 20 shares has beenpending for 2 hours. The intermediary may receive an indication that 2orders are pending in the second exchange, one order for 20 shares andone order for 5 shares. The intermediary may receive an indication thatone order is pending in the third exchange for 10 shares.

In this example, the intermediary may receive an indication that theexpected fulfillment rate of the first exchange is 10 shares per timeperiod, that in the second exchange the expected fulfillment rate is 10shares per time period as well, and in the third exchange the expectedfulfillment rate is 20 shares per time period. The intermediary may alsoreceive indications that the size of the expected orders incoming on theexchanges is expected to be relatively small compared to the size oforders on the exchanges now pending and expected to be placed on theexchanges related to the order for 100 shares.

The intermediary may determine an initial distribution of orders amongthe exchanges taking into account the pending orders, the marketfulfillment strategies, and/or order fulfillment rates to improve anexpected speed of fulfillment.

In determining an initial distribution, exchange 1 may be determined tonot receive any portion unless the expected incoming next order forexchange 1 is greater than 20 shares because otherwise no portion of theorder may be used to fulfill the order. For exchange 2, no portion ofthe order may be placed on exchange 2 unless the expected next order isgreater than 10 because otherwise no portion of the order may be filled.

In one example the expected next order is 25 for exchange 1 and 25 forexchange 2 and 50 for exchange 3. In one implementation, the initialdetermined distribution may indicate, for example, that an order for 10shares should be placed in the first exchange, an order for 20 sharesshould be placed in the second exchange and an order for 70 sharesshould be placed in the third exchange. Such a determination may, forexample, take into account that no order fulfillment may take place inthe first exchange until the order for 20 shares that has been pendingfor more than one hour is fulfilled and that similarly no orderfulfillment may take place in the third exchange until the pending orderfor 10 is fulfilled, but that order fulfillment may take place in thesecond exchange if an order is placed that is greater than 10 before theorder that s for only 5 shares. An example calculation may be asfollows: X1/V1=X3+O3/V3; X1=30, V1=10, X3=10, V3=20; so O3=50;X1/V1=X2+O2/V2; X2=20 if we expect the portion assigned to exchange 2 tobe 10 or 25 if we expect it to be less than 10; V2=10; so O2=10, meetingthe requirement that the portion equal at least 10. P1 may then equal(100−O2−O3)*[V1/(V1+V2+V3)]=10, P2 may then equal(100−O2−O3)*[V2/(V1+V2+V3)]+O2=20, and P3 may then equal(100−O2−O3)*[V3/(V1+V2+V3)]+O3=70.

If a change occurs in the pending orders of one or more of the exchange,the distribution may be adjusted. For example, if the order for 20pending on the first exchange is fulfilled and no new orders are placedon the third exchange, the distribution may be adjust to 25 in the firstexchange, 15 in the second exchange and 60 in the third exchange. If,however, an order had been placed in the third exchange so that a changeto the order pending in the third exchange might result in a loss ofpriority in the third exchange, a change to the distribution, in someimplementations, would instead not make a change to the third exchangebut still might make a change to the other two exchanges, resulting adistribution of 20, 10, 70. In some implementations, a decision aboutwhether to make a change to the third exchange may be made based on thesize of the new order in the third exchange, a size of a change to thedistribution on the third exchange, an expectation of a size of an orderthat will be placed next on the third exchange, and/or any othercriteria that might affect the speed of fulfilling orders on the thirdexchange.

It should be recognized that this specific example is given as anon-limiting illustration only. Other embodiments may include any numberof exchanges using any fulfillment methods, may include any method ofdetermining distributions, any sizes of orders, may make any or noassumptions, and/or any other elements and/or actions.

XII. Other Embodiments

The following should be interested as embodiments, not as claims.

A. A method comprising:

-   -   receiving an indication of a first order, in which the first        order includes an instrument to be traded, a quantity of the        instrument to be traded, and a side of a trade for the        instrument;    -   receiving an indication of a rate at which orders for the side        of the trade for the financial instrument are expected to be        fulfilled by at least one first exchange of a plurality of        exchanges;    -   receiving an indication of at least one quantity, in which each        quantity of the at least one quantity includes sum of quantities        associated with second orders pending on at least one second        exchange of the plurality of exchanges, in which the second        orders include the instrument and the side of trades for the        instrument;    -   receiving an indication of a method used by at least one third        exchange of the plurality of exchanges to fulfill orders pending        on the exchange when matching orders received by the exchange;    -   based at least in part on the rate, the at least one quantity,        and the method, determining an distribution for the first order        among the plurality of exchanges; and    -   facilitating execution of the order on the plurality of        exchanges according to the distribution.

A.1. The method of claim A, in which the first exchange, secondexchange, and third exchange are the same exchange.

A.2. The method of claim A, in which facilitating execution includesplacing a plurality of orders, in which each of the plurality of ordersis placed on one of the plurality of exchanges in accordance with thesecond distribution.

A.3. The method of claim A, in which at least one of the plurality ofexchanges fulfills orders in at least a partially pro-rata fashion.

A.3.1. The method of claim A.3, in which the at least one of theplurality of exchanges fulfills orders in a hybrid pro-rata and FIFOfashion.

A.3.2. The method of claim A.3, in which at least one other of theplurality of exchanges fulfills orders in a FIFO fashion.

A.3.3. The method of claim A.3, in which the at least one of theplurality of exchanges fulfills orders in a pro-rata fashion thatincludes business logic elements.

A.4. The method of claim A, in which determining the distributionincludes determining the distribution based at least in part on anexpected size of a third order expected to be received by at least oneof the plurality of exchanges, in which the third order includes theinstrument and the opposite side of a trade for the instrument.

A.5. The method of claim A, in which the indication of the method offulfilling orders includes at least one of an indication of a history oforders fulfilled on the at least one exchange, and a description of themethod of fulfilling orders.

A.6. The method of claim A, in which the indication of the rate includesa history of orders fulfilled on the at least one exchange.

A.7. The method of claim A, in which determining the distributionincludes determining the distribution based at least in part on a chancethat at least one second order pending on the at least one of theplurality of exchanges will not be fulfilled by a third order receivedby the at least one of the plurality of exchanges because a quantityassociated with the at least one second order is small.

A.8. The method of claim A, in which at least one of the plurality ofexchanges includes a computer system configured to receive indicationsof orders, determine if any of the indicated orders match, andfacilitate execution of at least some of the matching orders.

A.9. The method of claim A, in which the distribution includes adetermination of a portion of the quantity associated with the firstorder to be placed as an order on each of the plurality of exchanges.

A.10. At least one machine readable medium having stored thereon aplurality of instructions configured to cause a processor to perform themethod of claim A.

A.11. An apparatus comprising:

-   -   one or more processors;    -   one or more machine readable medium having stored thereon a        plurality of instructions that when executed by the one or more        processors cause the one or more processors to perform the        method of claim A.

A.12. A method comprising: submitting an order to the apparatus of claimA.11.

B. A method comprising:

-   -   determining a first distribution for a first order among a        plurality of exchanges, in which the first order includes an        instrument to be traded, a quantity of the instrument to be        traded, and a side of trades for the instrument;    -   receiving an indication of a change to a sum of quantities        associated with second orders pending on at least one exchange        of the plurality of exchanges, in which the second orders        include the instrument and the side of trades for the        instrument, and    -   determining a second distribution for the first order among the        plurality of exchanges based at least in part on the indication;        and    -   facilitating execution of the order through at least one of the        plurality of exchanges based on the second distribution.

B.1. The method of claim B, in which the indication of the change of thesum of quantities associated with the second orders includes anindication of an execution of a trade that fulfills at least a portionof at least one of the second orders.

B.1.1. The method of claim B.1, in which the indication of the changeincludes an indication of an execution of a trade that fulfills at leasta portion of the first order.

B.2. The method of claim B, in which facilitating execution includesplacing a plurality of orders, in which each of the plurality of ordersis placed on one of the plurality of exchanges in accordance with thesecond distribution.

B.3. The method of claim B, in which at least one of the plurality ofexchanges fulfills orders in at least a partially pro-rata fashion.

B.3.1. The method of claim B.3, in which the at least one of theplurality of exchanges fulfills orders in a hybrid pro-rata and FIFOfashion.

B.3.2. The method of claim B.3, in which at least one other of theplurality of exchanges fulfills orders in a FIFO fashion.

B.3.3. The method of claim B.3, in which the at least one of theplurality of exchanges fulfills orders in a pro-rata fashion thatincludes business logic elements.

B.4. The method of claim B, in which determining the second distributionincludes determining the second distribution based at least in part onan expected size of a third order expected to be received by at leastone of the plurality of exchanges, in which the third order includes theinstrument and the opposite side of a trade for the instrument.

B.5. The method of claim B, in which determining the second distributionincludes determining the second distribution based on an expected rateof order fulfillment of at least one of the plurality of exchanges.

B.5.1. The method of claim B.5, further comprising receiving anindication of the at least one rate.

B.5.1.1. The method of claim B.5.1, further comprising:

-   -   receiving an indication of a change to the at least one rate;        and    -   determining a third distribution for the first order among the        plurality of exchanges based at least in part on the change to        the at least one rate; and    -   facilitating execution of the order through at least one of the        plurality of exchanges based on the third distribution.

B.6. The method of claim B, in which determining the second distributionincludes determining the second distribution based on a method offulfilling orders performed by at least one of the plurality ofexchanges.

B.6.1. The method of claim B.6, further comprising receiving anindication of the method of fulfilling orders.

B.6.1.1. The method of claim B.6.1, in which the indication of themethod of fulfilling orders includes at least one of an indication of ahistory of orders fulfilled on the at least one exchange, and adescription of the method of fulfilling orders.

B.7. The method of claim B, in which determining the second distributionincludes determining the second distribution based at least in part on achance that at least one second order pending on the at least one of theplurality of exchanges will not be fulfilled by a third order receivedby the at least one of the plurality of exchanges because a quantityassociated with the at least one second order is small.

B.8. The method of claim B, in which the at least one of the pluralityof exchanges includes a computer system configured to receiveindications of orders, determine if any of the indicated orders match,and facilitate execution of at least some of the matching orders.

B.9. The method of claim B, in which the distribution includes adetermination of a portion of the quantity associated with the firstorder to be placed as an order on each of the plurality of exchanges.

B.10. At least one machine readable medium having stored thereon aplurality of instructions configured to cause a processor to perform themethod of claim B.

B.11. An apparatus comprising:

-   -   one or more processors;    -   one or more machine readable medium having stored thereon a        plurality of instructions that when executed by the one or more        processors cause the one or more processors to perform the        method of claim B.

B.12. A method comprising: submitting an order to the apparatus of claimB.11.

1. A method comprising: computing, by a computing device, a firstdistribution of first sub-parts of a first order to place on a pluralityof exchanges, in which the first order includes an instrument to betraded, a quantity of the instrument to be traded, and a side of tradesfor the instrument; in response to computing the first distribution,attempting, by the computing device, to facilitate execution of thefirst order on the plurality of exchanges according to the firstdistribution of first sub-parts; receiving, by the computing device, acomputer message identifying a change to a sum of quantities associatedwith second orders pending on at least one exchange of the plurality ofexchanges, in which the second orders include the instrument and theside of trades for the instrument, and in response to receiving theindication of the change, computing, by the computing device, a seconddistribution of second sub-parts of the first order among the pluralityof exchanges based at least in part on the change; and in response tocomputing the second distribution, attempting, by the computing device,to facilitate execution of the first order on the plurality of exchangesaccording to the second distribution of second sub-parts.
 2. The methodof claim 1, in which the computer message identifying the change to thesum includes an indication of an execution of a trade that fulfills atleast a portion of at least one of the second orders.
 3. The method ofclaim 1, in which the computer message identifying the change to the sumincludes an indication of an execution of a trade that fulfills at leasta portion of the first order.
 4. The method of claim 1, in whichattempting to facilitate execution according to the second distributionincludes placing a plurality of orders, in which each of the pluralityof orders is placed on one of the plurality of exchanges in accordancewith the second distribution.
 5. The method of claim 1, in which atleast one of the plurality of exchanges fulfills orders in at least apartially pro-rata fashion.
 6. The method of claim 5, in which the atleast one of the plurality of exchanges fulfills orders in a hybridpro-rata and FIFO fashion.
 7. The method of claim 5, in which at leastone other of the plurality of exchanges fulfills orders in a FIFOfashion.
 8. The method of claim 5, in which the at least one of theplurality of exchanges fulfills orders in a pro-rata fashion thatincludes business logic elements.
 9. The method of claim 1, in whichdetermining the second distribution includes determining the seconddistribution based at least in part on an expected size of a third orderexpected to be received by at least one of the plurality of exchanges,in which the third order includes the instrument and the opposite sideof a trade for the instrument.
 10. The method of claim 9, in which theexpectation of the size is based on a history of orders received by theat least one of the plurality of exchanges.
 11. The method of claim 1,in which determining the second distribution includes determining thesecond distribution based on an expected rate of order fulfillment of atleast one of the plurality of exchanges.
 12. The method of claim 11,comprising receiving an indication of the expected rate.
 13. The methodof claim 12, comprising: receiving an indication of a change to theexpected rate; and in response to receiving the indication of the changeto the expected rate, computing a third distribution of third sub-partsof the first order among the plurality of exchanges based at least inpart on the change to the expected rate; and attempting to facilitateexecution of the order through at least one of the plurality ofexchanges based on the third distribution.
 14. The method of claim 1, inwhich determining the second distribution includes determining thesecond distribution based on a method of fulfilling orders performed byat least one of the plurality of exchanges.
 15. The method of claim 14,further comprising receiving an indication of the method of fulfillingorders.
 16. The method of claim 15, in which the indication of themethod of fulfilling orders includes at least one of an indication of ahistory of orders fulfilled on the at least one exchange, and adescription of the method of fulfilling orders.
 17. The method of claim1, in which determining the second distribution includes determining thesecond distribution based at least in part on a chance that at least onesecond order pending on the at least one of the plurality of exchangeswill not be fulfilled by a third order received by the at least one ofthe plurality of exchanges because a quantity associated with the atleast one second order is small.
 18. The method of claim 1, in which theat least one of the plurality of exchanges includes a computer systemconfigured to receive indications of orders, determine if any of theindicated orders match, and facilitate execution of at least some of thematching orders.
 19. The method of claim 1, in which the seconddistribution includes a determination of a portion of the quantityassociated with the first order to be placed as an order on each of theplurality of exchanges.
 20. The method of claim 1, comprising: receivinga computer message identifying the first order; receiving an indicationof a rate at which orders for the side of the trade for the financialinstrument are expected to be fulfilled by at least one first exchangeof the plurality of exchanges; receiving an indication of at least onequantity of the at least one quantity of third orders pending on atleast one second exchange of the plurality of exchanges, in which thethird orders include the instrument and the side of trades for theinstrument; and receiving an indication of a method used by at least onethird exchange of the plurality of exchanges to fulfill orders pendingon the exchange when matching orders received by the third exchange, andin which computing the first distribution includes computing the firstdistribution based at least in part on the rate, the at least onequantity, and the method.
 21. The method of claim 20, in which the firstexchange, second exchange, and third exchange are the same exchange. 22.The method of claim 1, in which determining the second distributionincludes determining an expected rate of order fulfillment through theeach of the plurality of exchange, and determining the distribution toincrease an expected overall rate of order fulfillment using theplurality of exchanges.
 23. The method of claim 1, in which determiningthe first distribution includes determining a distribution that has anincrease in expected speed of fulfillment compared to an expected speedof fulfillment of submitting the first order to a single exchange of theplurality of exchanges, and in which determining the second distributionincludes determining a distribution that has an increase in expectedspeed of fulfillment compared to the first distribution.
 24. Anapparatus comprising: a computing device, and a non-transitory machinereadable medium having stored thereon a plurality of instructions thatwhen executed by the computing device cause the computing device to:compute a first distribution of first sub-parts of a first order toplace on a plurality of exchanges, in which the first order includes aninstrument to be traded, a quantity of the instrument to be traded, anda side of trades for the instrument; in response to computing the firstdistribution, attempt to facilitate execution of the first order on theplurality of exchanges according to the first distribution of firstsub-parts; receive a computer message identifying a change to a sum ofquantities associated with second orders pending on at least oneexchange of the plurality of exchanges, in which the second ordersinclude the instrument and the side of trades for the instrument, and inresponse to receiving the indication of the change, compute a seconddistribution of second sub-parts of the first order among the pluralityof exchanges based at least in part on the change; and in response tocomputing the second distribution, attempt to facilitate execution ofthe first order on the plurality of exchanges according to the seconddistribution of second sub-parts.
 25. An apparatus comprising: acomputing device, and a non-transitory machine readable medium havingstored thereon a plurality of instructions that when executed by thecomputing device cause the computing device to: receive a computermessage identifying a first order, in which the first order includes aninstrument to be traded, a quantity of the instrument to be traded, anda side of a trade for the instrument; receive an indication of a rate atwhich orders for the side of the trade for the financial instrument areexpected to be fulfilled by at least one first exchange of a pluralityof exchanges; receive an indication of at least one quantity, in whicheach quantity of the at least one quantity includes a total ofquantities associated with at least one respective second order pendingon at least one second exchange of the plurality of exchanges, in whichthe second orders include the instrument and the side of trades for theinstrument; receive an indication of a method used by at least one thirdexchange of the plurality of exchanges to fulfill orders pending on theexchange when matching orders received by the third exchange; based atleast in part on the rate, the at least one quantity, and the method,compute a distribution of sub-parts of the first order among theplurality of exchanges; and attempt to facilitate execution of the firstorder on the plurality of exchanges according to the distribution ofsub-parts to the plurality of exchanges.